Joint density of the stable process and its supremum: Regularity and upper bounds
Author:
Affiliation:
1. Department of Statistics, University of Warwick, Coventry, UK
2. Ritsumeikan University, Nojihigashi, Kusatsu, Shiga, Japan
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Subject
Statistics and Probability
Reference32 articles.
1. Sato, K. (2013). Lévy Processes and Infinitely Divisible Distributions. Cambridge Studies in Advanced Mathematics 68. Cambridge: Cambridge Univ. Press. Translated from the 1990 Japanese original, Revised edition of the 1999 English translation.
2. Nualart, D. and Nualart, E. (2018). Introduction to Malliavin Calculus. Institute of Mathematical Statistics Textbooks 9. Cambridge: Cambridge Univ. Press. 10.1017/9781139856485
3. Patie, P. and Savov, M. (2018). Bernstein-gamma functions and exponential functionals of Lévy processes. Electron. J. Probab. 23 Paper No. 75, 101. 10.1214/18-EJP202
4. Bally, V. and Caramellino, L. (2016). Stochastic Integration by Parts. Advanced Courses in Mathematics–CRM Barcelona. Springer International Publishing.
5. Bernyk, V., Dalang, R.C. and Peskir, G. (2011). Predicting the ultimate supremum of a stable Lévy process with no negative jumps. Ann. Probab. 39 2385–2423. 10.1214/10-AOP598
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